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ScreenerInterpolatedIvHorizon

Expected move and implied volatility for one fixed calendar-day horizon. An exact expiry requires at-the-money call and put observations less than 120 seconds apart. Volatility is their mean implied volatility. Implied move is 0.85 times their summed theoretical prices. Exact-expiry metrics are encoded as floor(value * 1000). Values between expiries use total-variance interpolation for volatility and squared-value interpolation for expected move, then round the source integer up. When only one surrounding expiry is available, each source integer is adjusted by one unit per calendar day from the known expiry to the requested horizon.

Messagefields4used byScreenerInterpolatedIvState

Show Proto definition

schema.proto

message ScreenerInterpolatedIvHorizon {
  uint32 days = 1;
  optional sint32 implied_move_milli = 2;
  optional sint32 implied_move_perc_milli = 3;
  optional sint32 volatility_milli = 4;
}

Fields

The number on the right of each row is the protobuf field number.

daysuint321

Fixed calendar-day horizon.

implied_move_millisint32optional2

Expected absolute move multiplied by 1000. Absent when unavailable.

implied_move_perc_millisint32optional3

Expected move fraction multiplied by 1000. For example, 50 represents 0.05. Absent when unavailable.

volatility_millisint32optional4

Implied volatility multiplied by 1000. For example, 250 represents 0.25. Absent when unavailable.

Last modified on September 23, 2026

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